Results 51 to 60 of about 132,701 (326)
, 2012 We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a double-obstacle quasi-
Cosso, Andrea
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Game-theoretic approach to risk-sensitive benchmarked asset management [PDF]
, 2014 In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the investor who ...
Deshpande, Amogh, Jacka, Saul D.
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Journal of Differential Equations, 1972 Consider a stochastic differential system of \(m\) equations \[ d\xi(t)=f(t,\xi(t), y_1,\ldots, y_N)\,dt+ \sigma(t, \xi(t))\,dw(t),\quad \xi(s) =x_0, \] where the player \(y_i\) chooses a control function with values in a control set \(Y_i\). Denote by \(\tau\) the exit time of \(\xi(t)\) from a cylinder \(\{s
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Differential games for stochastic partial differential equations [PDF]
Nagoya Mathematical Journal, 1993 In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max ...
Fleming, W. H., Nisio, M.
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Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games [PDF]
, 2018 In this paper we deal with the problem of existence of a smooth solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games.
Hamadene, Said, Mannucci, Paola
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Study on Stochastic Differential Game Model in Network Attack and Defense
Secur. Commun. Networks, 2020 In recent years, evolutionary game theory has been gradually applied to analyze and predict network attack and defense for maintaining cybersecurity. The traditional deterministic game model cannot accurately describe the process of actual network attack
Xiaotong Xu +3 more
semanticscholar +1 more source
Motor Vehicle Insurance Anti-Fraud Modeling Based on a Stochastic Differential Game System
Systems, 2023 In this paper, we regard policyholders, insurance companies, and government departments to be an anti-fraud supervision system, and we explore the supervision of motor vehicle insurance fraud from the perspective of a tripartite game.
Meixuan Li +3 more
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, 2014 This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition.
Hamadène, Said, Mu, Rui
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The Master Equation for Large Population Equilibriums [PDF]
, 2014 We use a simple N-player stochastic game with idiosyncratic and common noises to introduce the concept of Master Equation originally proposed by Lions in his lectures at the Coll\`ege de France.
D Nualart +10 more
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IEEE AccessAiming at the objective uncertainty, subjective uncertainty, and extreme events may be in a dynamic system simultaneously. This paper focuses on the differential game problem of a linear quadratic jump uncertain stochastic system. The system is described
Lu Yang +3 more
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